A different class of homing problems

✍ Scribed by Mario Lefebvre

• Publisher: Elsevier Science
• Year: 2001
• Tongue: English
• Weight: 112 KB
• Volume: 42
• Category: Article
• ISSN: 0167-6911
• DOI: 10.1016/s0167-6911(00)00107-9

✦ Synopsis

The problem of minimizing the expected time spent by a one-dimensional controlled di usion process x(t) in the interval [ -d; d], while taking the quadratic control costs into account, is considered. Both the inÿnitesimal mean and variance of the controlled process x(t) depend on the control variable u(t). The optimization problem reduces to a purely probabilistic problem.